Variable Selection Deviation Measures and Instability Tests for High-Dimensional Generalized Linear Models

Variable selection deviation (VSD) measures and instability tests for high-dimensional model selection methods such as LASSO, SCAD and MCP, etc., to decide whether the sparse patterns identified by those methods are reliable.


Reference manual

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1.4 by Yi Yang, 6 years ago

Browse source code at

Authors: Ying Nan <[email protected]> , Yanjia Yu <[email protected]> , Yuhong Yang <[email protected]> , Yi Yang <[email protected]>

Documentation:   PDF Manual  

GPL-2 license

Depends on stats, glmnet, ncvreg, MASS, parallel, brglm

See at CRAN